Download full text
(325.0Kb)
Citation Suggestion
Please use the following Persistent Identifier (PID) to cite this document:
https://nbn-resolving.org/urn:nbn:de:0168-ssoar-246502
Exports for your reference manager
A nonparametric approach for estimating betas: the smoothed rolling estimator
[journal article]
Abstract In this study an alternative nonparametric estimator to
the Fama and MacBeth approach for the CAPM estimation is proposed.
Betas and risk premiums are estimated simultaneously in order to
increase the explanatory power of the proxy for betas. A data
driven method is proposed for selecting the smoo... view more
In this study an alternative nonparametric estimator to
the Fama and MacBeth approach for the CAPM estimation is proposed.
Betas and risk premiums are estimated simultaneously in order to
increase the explanatory power of the proxy for betas. A data
driven method is proposed for selecting the smoothness degrees,
which are directly related to the subsample sizes. Based on this
relation, the traditional estimator is obtained as a particular
case. Contrary to the results obtained in other studies our
empirical evidence for Spanish market data is favorable to the
CAPM.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Free Keywords
CAPM; varying betas; kernel estimator
Document language
English
Publication Year
2010
Page/Pages
p. 1269-1279
Journal
Applied Economics, 42 (2010) 10
DOI
https://doi.org/10.1080/00036840701721257
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)